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Trend - CTA / Managed Futures

Managed futures and systematic alternatives as the primary alpha engine, anchored by S&P momentum equity.

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TickerWeightBetaNotes
SPMO25%1.1S&P 500 momentum factor.
MATE20%1Return-stacked 100% S&P 500 + 100% managed futures.
IALT15%0.35Systematic multi-strategy alternatives sleeve.
SSO10%22x S&P 500 — leveraged beta sleeve.
VFLO10%0.75Large-cap free-cash-flow quality tilt.
RSSY10%1Return-stacked equity + systematic futures yield sleeve.
CLSE10%0.6US long/short equity drawdown buffer.

Weighted portfolio beta (approx.): 0.96

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Total return (vs SPY)

Range
+43.38%
Portfolio
+25.67%
SPY (benchmark)
+17.71%
Excess α vs SPY
-6.40%
Max drawdown
-8.88%
SPY max DD
2.69
Sharpe
Excess return above the 4.5% risk-free rate divided by annualised volatility. Above 1.0 is good; above 2.0 is excellent. SPY typically scores around 0.5–0.8.
4.00
Sortino
Excess return above the 4.5% risk-free rate divided by annualised downside deviation (penalises losses only). Above 1.5 is good; above 3.0 is excellent.
PortfolioSPY
Portfolio score: A

Alpha score: A+

Max DD score: A

Beta score: B+

Beta: 0.96

Net leverage:

Total: 136.0%

Gross longs: 96.0%

Gross shorts: 5.0%

Gross alpha & alts: 45.0%

Portfolio weights:

SPMO: 25%

MATE: 20%

IALT: 15%

SSO: 10%

VFLO: 10%

RSSY: 10%

CLSE: 10%

Educational model only — not investment advice. Portfolio betas in the holdings table are weighted to the listed names and weights.

MATE: total-return path multiplies daily returns of RSST. Pre-inception path deducts ~4%/yr wholesale financing on 1.00× incremental notional (gross ~200% vs 100% cash).

VFLO: methodology lists COWZas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

IALT: before December 11, 2025, IALT is proxied by 50% FLSP and 50% DBMF daily returns.

RSSY's inception date of 2024-05-29 is limiting the backtest.